1. Variable selection for portfolio choice;Aït-Sahalia;Journal of Finance,2001
2. Aït-Sahalia, Y., and M.W Brandt, 2007, Portfolio and consumption choice with option-implied state prices, working paper, Princeton University.
3. On an investment-consumption model with transaction costs;Akian;SIAM Journal of Control and Optimization,1996
4. Economic implications of using a mean-VaR model for portfolio selection: A comparison with mean–variance analysis;Alexander;Journal of Economic Dynamics and Control,2002
5. An introduction to kernel and nearest-neighbor nonparametric regression;Altman;American Statistician,1992